The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...

Previous conjoint choice design construction procedures have produced a single design that is administered to all subjects. This paper proposes to construct a limited set of different designs. The designs are constructed in a Bayesian fashion, taking into account prior uncertainty about the...

Lately, so-called 'quantum models' based on parts of the mathematics of quantum mechanics, have been developed in decision theory and cognitive sciences to account for seemingly irrational or paradoxical human judgments. In this paper, we limit ourselves to such quantum-like models that address...

Hay esbozos según los cuales las probabilidades se cuentan como la fundación de la teoría matemática de las estadísticas. Mas la significación física de las probabilidades matemáticas son oscuros, muy poco entendidos. Parecíera mejor que las probabilidades físicas se fundaran en las...

Bayesian Confirmation Measures can be used in ranking inductive rules obtained as an output when using Association Rules in database mining. Many measures of this kind have been defined and the choice of the right one can be considered as a further challenge to be faced. In this paper we try to...

We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (SJ, 2012). They used an inefficient version of the nested fixed point algorithm that relies on successive...

This paper develops optimal estimation of a potentially nondifferentiable functional Г(β) of a regular parameter β, when Г satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...

This work is focused on identifying a circular pull production control system (PPCS) and make emphasis on the presence of a stability attribute. It is an introductory paper to an extended study of macroeconomic financial stability in a physically open but systemic closed system. Previous work...

The two forms - additive and index, of the factor analysis of increases and decreases of absolute result quantities are studied. A transition is made from the additive form of the factor analysis with growths of absolute result quantities with non-mean data to its additive and index form with...

Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually lead to a multiplicity of implemented management decisions. Is then the actual strategy the same as the announced strategy? Can...